乐观乘法权重更新的最终迭代收敛性 / Last-Iterate Convergence of Optimistic Multiplicative Weight Update
1️⃣ 一句话总结
本文证明了一种名为乐观乘法权重更新的算法,在解决平滑的凸-凹鞍点问题时,只要学习率足够小,其最后一步迭代结果就能逐渐收敛到最优解,且不需要初始点靠近解或满足其他特殊条件;这一结论填补了该算法在理论收敛性上的空白。
Optimistic Gradient Descent Ascent (OGDA) and Optimistic Multiplicative-Weights Update (OMWU) are two very popular algorithms to solve convex/concave saddle-point problems, where OMWU is the non-Euclidean, entropic version of OGDA. It is known since the '80s that the last iterate of OGDA asymptotically converges to a saddle point in smooth problems. On the other hand, it is unknown if OMWU has the same property. In this paper, I show that OMWU converges asymptotically for smooth convex-concave saddle-point problems, with a small enough constant learning rate. The result does not require uniqueness, strict complementarity, an error bound, or initialization near a solution. The main new ingredient is a boundary argument showing that every cluster point satisfies the inactive-coordinate KKT inequalities. The boundary argument was discovered with assistance from ChatGPT and is documented in the appendix.
乐观乘法权重更新的最终迭代收敛性 / Last-Iterate Convergence of Optimistic Multiplicative Weight Update
本文证明了一种名为乐观乘法权重更新的算法,在解决平滑的凸-凹鞍点问题时,只要学习率足够小,其最后一步迭代结果就能逐渐收敛到最优解,且不需要初始点靠近解或满足其他特殊条件;这一结论填补了该算法在理论收敛性上的空白。
源自 arXiv: 2606.11773